01833cam a22002417 4500001000600000003000500006005001700011008004100028100002100069245013900090260006600229490004100295500001700336520086200353530006101215538007201276538003601348700001601384710004201400830007601442856003701518856003601555w6129NBER20180222023337.0180222s1997 mau||||fs|||| 000 0 eng d1 aEngle, Robert F.10aMeasuring, Forecasting and Explaining Time Varying Liquidity in the Stock Marketh[electronic resource] /cRobert F. Engle, Joe Lange. aCambridge, Mass.bNational Bureau of Economic Researchc1997.1 aNBER working paper seriesvno. w6129 aAugust 1997.3 aThe paper proposes a new measure, VNET, of market liquidity which directly measures the depth of the market. The measure is constructed from the excess volume of buys or sells during a market event defined by a price movement. As this measure varies over time, it can be forecast and explained. Using TORQ data, it is found that market depth varies positively but less than proportionally with past volume and negatively with the number of transactions. Both findings suggest that over time high volumes are associated with an influx of informed traders and reduce market liquidity. High expected volatility as measured by the ACD model of Engle and Russell (1995) and wide spreads both reduce expected depth. If the asymmetric trades are transacted in shorter than expected times, the costs will be greater giving an estimate of the value of patience. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.1 aLange, Joe.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w6129.4 uhttp://www.nber.org/papers/w612941uhttp://dx.doi.org/10.3386/w6129